如果把问题反过来问，return归因相对于risk归因有哪些区别，应该如何回答呢？

NO.PZ2020020202000004

问题如下：

Risk attribution differs from return attribution in that it:

选项：

is not conducted relative to a benchmark.

quantifies the risk consequences of the investment decisions.

quantifies the investment decisions of the investment manager.

解释：

B is correct.

Risk attribution, unlike return attribution, attempts to quantify the risk consequences of the investment decisions.

A is not correct because risk attribution may be conducted on either an absolute or a relative basis.

C is not correct because risk attribution does not capture the return impact of a manager’s investment decisions.

原题的答案说risk归因定量了投资决策对风险的结果，那return归因不也有对于投资决策的拆解吗？

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笛子_品职助教 · 2024年01月27日

嗨，爱思考的PZer你好：

Hello，亲爱的同学~

风险归因，是指：portfolio的variance，是由哪些factor带来的，每个factor对portfolio variance的贡献是多少。

收益归因，是指：portfolio return，是由哪些factor带来的，每个factor对portfolio return的贡献是多少。

两者确实有相似之处，都是用factor来解释portfolio的表现。

区别是：风险归因，用factor的风险解释portfolio的风险。

收益归因，用factor的收益解释portfolio的收益。

同学的理解是正确的，return归因也有助于对投资决策的拆解。

如果用return，这题可以改成：

return attribution differs from risk attribution in that it:

B、quantifies the return consequences of the investment decisions.

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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如果把问题反过来问，return归因相对于risk归因有哪些区别，应该如何回答呢？

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